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Predictive ability of business cycle indicators under test : a case study for the euro area industrial production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina … - 2010
In this paper we assess the information content of seven widely cited early indicators for the euro area with respect … forecasts the OECD composite leading indicator performs very good by all criteria, and for 12-month forecasts the FAZ-Euro … loss ; leading indicators ; euro area ; forecasting …
Persistent link: https://www.econbiz.de/10008653414
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Predictive ability of business cycle indicators under test : a case study for the Euro area industrial production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina … - 2010 - This version: June 2010, preliminary
Persistent link: https://www.econbiz.de/10008933818
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Price dispersion in the Euro Area : the case of a symmetric oil price shock
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009
This paper studies the causes of price dispersion in the euro area emerging in response to a shock that hits all member … attributed to different degrees of price and wage rigidities in the member countries. -- pass-through ; oil price shock ; euro …
Persistent link: https://www.econbiz.de/10003871916
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How strongly did the 2007/08 oil price hike contribute to the subsequent recession?
Carstensen, Kai; Elstner, Steffen; Paula, Georg - 2011
In this paper we challenge the view that the oil price has lost its influence on economic activity after the mid-1980s. While we concede that typical VAR models put forward in the literature fail to identify oil price shocks that significantly affect aggregate production, we obtain clearly...
Persistent link: https://www.econbiz.de/10009010510
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017
We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...
Persistent link: https://www.econbiz.de/10011646914
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Estimation of the TFP gap for the largest five EMU countries
Carstensen, Kai; Kießner, Felix; Rossian, Thies - 2023
In this paper we augment the Bayesian unobserved components model of the EU Commission to estimate the cyclical component of total factor productivity (TFP gap) with a factor structure to include a wide array of business cycle indicators. We demonstrate that this model extension considerably...
Persistent link: https://www.econbiz.de/10013503372